Morgan Stanley Dean Witter Charter Series
Monthly Report
April 2000
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of April 30, 2000 was as follows:
Funds N.A.V. % change for month
Charter Graham $ 9.82 -4.97%
Charter Millburn $ 8.88 0.68%
Charter Welton $ 8.29 -6.44%
In general, the performance disparity between the funds in the Charter
Series is due to the portfolio structure and trading philosophy unique to
each fund. Charter Millburn recorded profits primarily from currency and
metals futures trading, particularly from short positions in the euro and
short positions in gold futures. Charter Graham incurred losses in the
global interest rate and stock index futures markets from U.S. interest
rate and stock index futures positions. Charter Welton experienced losses
primarily in the global stock index futures markets, a market sector in
which this fund participates heavily.
Charter Graham
The Fund decreased in value during April due primarily to losses recorded
in the global interest rate futures markets from long positions in U.S.
interest rate futures as prices declined amid fears of higher interest
rates and a late month bounce in equity prices. In the global stock index
futures markets, the short-term price volatility in global equity prices
experienced during March continued into April, resulting in losses for U.S.
and Japanese stock index futures positions. In the agricultural markets,
losses were incurred from long positions in corn futures as prices dropped
due to rapid spring plantings and rain in the U.S. Midwest. A portion of
these losses was offset by gains recorded in the currency markets from
short positions in the euro as the value of the European common currency
dropped to record lows versus the U.S. dollar. The euro's fall during the
month was attributed to the European Central Bank's (ECB) passive stance
towards its currency and increasing concern that the ECB should be more
aggressive in combating inflation. Additional currency gains were recorded
by Charter Graham from short positions in the South African rand as its
value receded to 20-month lows versus the U.S. dollar amid speculation that
Zimbabwe is on the verge of devaluing its currency by as much as 25%.
Charter Millburn
The Fund increased in value during April due primarily to gains recorded in
the currency markets from short positions in the euro as the value of the
European common currency dropped to record lows versus the U.S. dollar and
British pound. Strong economic data out of the U.S. and the potential for
aggressive rate hikes in the U.S. also boosted the dollar and,
subsequently, added to the euro's troubles. In the metals markets, profits
were recorded from short positions in gold futures as gold prices declined
amid the combination of a global trend towards higher interest rates, a
strong U.S. dollar and the prospects of further central bank sales. A
portion of these gains was offset by losses recorded in the global interest
rate futures markets from long positions in U.S. interest rate futures as
prices declined amid fears of higher interest rates and a late month bounce
in equity prices. Strong economic data out of the U.S. led investors to
believe that additional interest rate hikes by the U.S. Federal Reserve in
the near future were inevitable, thus pushing interest rate yields higher
and bond prices lower. In the energy markets, losses were incurred from
short-term price volatility in crude oil futures as questions regarding
future production levels remained in question.
Charter Welton
The Fund decreased in value during April due primarily to losses recorded
in the global stock index futures markets. In the U.S., domestic equity
prices declined sharply during mid-month, particularly on Friday, April 14,
when they plunged sharply following the release of an unexpected jump in
the consumer price index. Fears of inflation and concerns that the Federal
Reserve may need to raise interest rates more aggressively further panicked
an already weary market and forced prices lower, thus resulting in losses
for long S&P 500 and NASDAQ 100 Index futures positions. Notable losses
were
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also incurred from long positions in Nikkei Index futures as Japanese
equity prices, particularly technology issues, also declined sharply
following the downward move of U.S. stock prices. In the global interest
rate futures markets, losses were incurred from long positions in U.S.
interest rate futures as prices declined amid fears of higher interest
rates and a late month bounce in equity prices. In the currency markets,
losses were incurred from long positions in the Japanese yen as the value
of the yen weakened versus the U.S. dollar amid fears of additional Bank of
Japan (BOJ) intervention, following the BOJ's surprise yen-selling on
Monday, April 3. The yen was also pressured lower by the present
uncertainties around the immediate leadership of Japan's government and the
implications that would have for the Japanese economy. A portion of these
losses was offset by gains recorded in the soft commodities markets from
short positions in cotton and coffee futures, and in the agricultural
markets, from short positions in wheat futures as prices fell due to rain
in the U.S. Midwest.
Should you have any questions concerning this report, please feel free to
contact Demeter Management Corporation at Two World Trade Center, 62nd
Floor, New York, NY 10048, or your Morgan Stanley Dean Witter Financial
Advisor.
I hereby affirm, that to the best of my knowledge and belief, the
information contained in this report is accurate and complete. Past
performance is not a guarantee of future results.
Sincerely,
Robert E. Murray
Chairman
Demeter Management Corporation
General Partner
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<TABLE>
MORGAN STANLEY DEAN WITTER CHARTER SERIES
Historical Fund Performance
Presented below is the percentage change in Net Asset Value per
Unit from the start of every calendar year for each Fund in the
Morgan Stanley Dean Witter Charter Series. Also provided is the
inception-to-date return and the annualized return since
inception for each fund. PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
<CAPTION>
Charter Graham
Year Return
<S> <C>
1999 (10 months) 2.9%
2000 (4 months) -4.6%
Inception-to-Date Return: -1.8%
Annualized Return: -1.5%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (10 months) -7.2%
2000 (4 months) -4.3%
Inception-to-Date Return: - 11.2%
Annualized Return: - 9.7%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (10 months) -10.7%
2000 (4 months) -7.2%
Inception-to-Date Return: -17.1%
Annualized Return: - 14.8%
_________________________________________________________________
___________________________
</TABLE>
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<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended April 30, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of
Percent of
April 1, 2000 April
1, 2000 Beginning
Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading profit (loss):
Realized (723,123) (3.21)
(626,020) (2.57)
Net change in unrealized (320,393) (1.42)
866,952 3.56
Total Trading Results (1,043,516) (4.63)
240,932 0.99
Interest Income (DWR) 94,053 0.42
107,957 0.44
Total Revenues (949,463) (4.21)
348,889 1.43
EXPENSES
Brokerage fees (DWR) 131,232 0.59
142,107 0.58
Management fees 37,495 0.17
40,602 0.17
Total Expenses 168,727 0.76
182,709 0.75
NET INCOME (LOSS) (1,118,190) (4.97)
166,180 0.68
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended April 30, 2000
(Unaudited)
Morgan Stanley Dean Witter Charter Graham L.P. Morgan
Stanley Dean Witter Charter Millburn L.P.
Units Amount Per Unit Units
Amount Per Unit
$ $
$ $
<S> <C> <C> <C> <C>
<C> <C>
Net Asset Value,
April 1, 2000 2,177,299.666 22,496,979 10.33
2,763,028.250 24,361,151 8.82
Net Income (Loss) - (1,118,190) (0.51) -
166,180 0.06
Redemptions (22,575.518) (221,692) 9.82
(52,512.449) (466,311) 8.88
Subscriptions 66,449.798 652,537 9.82
87,631.197 778,165 8.88
Net Asset Value,
April 30, 2000 2,221,173.946 21,809,634 9.82
2,798,146.998 24,839,185 8.88
The accompanying notes are an integral part of these financial statements.
</TABLE>
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<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended April 30, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
April 1, 2000
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (1,312,394) (5.37)
Net change in unrealized (187,248) (0.77)
Total Trading Results (1,499,642) (6.14)
Interest Income (DWR) 107,342 0.44
Total Revenues (1,392,300) (5.70)
EXPENSES
Brokerage fees (DWR) 142,651 0.58
Management fees 40,758 0.16
Total Expenses 183,409 0.74
NET INCOME (LOSS) (1,575,709) (6.44)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended April 30, 2000
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
April 1, 2000 2,759,644.126 24,454,512 8.86
Net Income (Loss) - (1,575,709) (0.57)
Redemptions (39,470.906) (327,214) 8.29
Subscriptions 78,212.650 648,383 8.29
Net Asset Value,
April 30, 2000 2,798,385.870 23,199,972 8.29
The accompanying notes are an integral part of these financial statements.
</TABLE>
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Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements
(Unaudited)
1. Summary of Significant Accounting Policies
Organization - Morgan Stanley Dean Witter Charter Graham L.P. ("Charter
Graham"), Morgan Stanley Dean Witter Charter Millburn L.P. ("Charter
Millburn"), and Morgan Stanley Dean Witter Charter Welton L.P. ("Charter
Welton"), (individually, a "Partnership", or collectively, the
"Partnerships") are limited partnerships organized to engage primarily in
the speculative trading of futures and forward contracts, options on
futures contracts and on physical commodities and other commodity
interests, including foreign currencies, financial instruments, metals,
energy, and agricultural products (collectively, "futures interests").
The Partnerships commenced operations on March 1, 1999. The general
partner for each Partnership is Demeter Management Corporation ("Demeter").
The non-clearing commodity broker is Dean Witter Reynolds, Inc. ("DWR") and
an unaffiliated clearing commodity broker, Carr Futures Inc. ("Carr"),
provides clearing and execution services. Demeter and DWR are wholly-owned
subsidiaries of Morgan Stanley Dean Witter & Co.
Demeter is required to maintain a 1% minimum interest in the equity of each
Partnership and income (losses) are shared by Demeter and Limited Partners
based on their proportional ownership interests.
Use of Estimates - The financial statements are prepared in accordance with
generally accepted accounting principles, which require management to make
estimates and assumptions that affect the reported amounts in the financial
statements and related disclosures. Management believes that the estimates
utilized in the preparation of the financial statements are precident and
reasonable. Actual results could differ from those estimates.
Revenue Recognition - Futures interests are open commitments until
settlement date. They are valued at market on a daily basis and the
resulting net change in unrealized gains and losses is reflected in the
change in unrealized profit (loss) on open contracts from one period to the
next in the statements of operations. Monthly, DWR credits each
Partnership with interest income on 100% of its average daily funds held in
its individual account at DWR at a rate equal to that earned by DWR on its
U.S. Treasury bill investments. Carr also credits DWR with the interest
income earned in respect to the Partnership's Net Assets maintained in
trading accounts at Carr. DWR in turn credits the Partnership with 100% of
the interest income received from Carr. For purposes of such interest
payments Net Assets do not include monies due the Partnership on forward
contracts and other futures interests, but not actually received.
Net Income (Loss) per Unit - Net income (loss) per unit of limited
partnership interest ("Unit(s)") is computed using the weighted average
number of Units outstanding during the period.
Brokerage and Related Transaction Fees and Costs - Each Partnership pays a
flat-rate monthly brokerage fee of 1/12 of 7% of the Partnership's Net
Assets as of the first day of each month (a 7% annual rate). Such fees
currently cover all brokerage commissions, transaction fees and costs and
ordinary administrative and offering expenses.
Operating Expenses - The Partnerships incur monthly management fees and may
incur incentive fees. Demeter bears all other operating expenses.
Income Taxes - No provision for income taxes has been made in the
accompanying financial statements, as partners are individually responsible
for reporting income or loss based upon their respective share of each
Partnership's revenues and expenses for income tax purposes.
Distributions - Distributions, other than redemptions of Units, are made on
a pro-rata basis at the sole discretion of Demeter. No distributions have
been made to date.
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Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements
(Concluded)
Continuing Offering - Units of each Partnership are offered at a price
equal to 100% of the Net Asset Value per Unit at monthly closings held as
of the last day of each month.
Redemptions - Limited partners may redeem some or all of their Units as of
the last day of the sixth month following the closing at which a person
first becomes a Limited Partner. Redemptions may only be made in whole
Units, with a minimum of 100 Units required for each redemption, unless a
Limited Partner is redeeming his entire interest in the Partnership.
Units redeemed on or prior to the last day of the twelfth month from the
date of purchase will be subject to a redemption charge equal to 2% of the
Net Asset Value of a Unit on the
Redemption Date. Units redeemed after the last day of the twelfth month
and on or prior to the last day of the twenty-fourth month from the date of
purchase will be subject to a redemption charge equal to 1% of the Net
Asset Value of a Unit on the Redemption Date. Units redeemed after the
last day of the twenty-fourth month from the date of purchase will not be
subject to a redemption charge.
Exchanges - On the last day of the first month which occurs more than 180
days after a person first becomes a Limited Partner in any of the
Partnerships, and at the end of each month thereafter, Limited Partners may
transfer their investment among the Partnerships (subject to certain
restrictions outlined in the Limited Partnership Agreements) without paying
additional charges.
Dissolution of the Partnership - Each Partnership will terminate on
December 31, 2035 or at an earlier date if certain conditions occur as
defined in each partnership's Limited Partnership Agreement.
2. Related Party Transactions
Each Partnership pays brokerage fees to DWR as described in Note 1. Each
Partnership's cash is on deposit with DWR and Carr in futures interests
trading accounts to meet margin requirements as needed. DWR pays interest
on these funds as described in Note 1.
3. Trading Advisors
Demeter, on behalf of each Partnership, retains certain commodity trading
advisors to make all trading decisions for the Partnerships. The trading
advisors for each Partnership as of December 31, 1999 were as follows:
Morgan Stanley Dean Witter Charter Graham L.P.
Graham Capital Management L.P.
Morgan Stanley Dean Witter Charter Millburn L.P.
Millburn Ridgefield Corporation
Morgan Stanley Dean Witter Charter Welton L.P.
Welton Investment Corporation
Compensation to the trading advisors by the Partnerships consists of a
management fee and an incentive fee as follows:
Management Fee - Each Partnership pays a flat-rate monthly fee of 1/12 of
2% of the Net Assets under management by each trading advisor as of the
first day of each month (a 2% annual rate).
Incentive Fee - Each Partnership pays a monthly incentive fee equal to 20 %
of trading profits as of the end of each calendar month. Trading profits
represent the amount by which profits from futures, forward and options
trading exceed losses after brokerage and management fees are deducted.
When a trading advisor experiences losses with respect to Net Assets as of
the end of a calendar month, the trading advisor must earn back such losses
before that trading advisor is eligible for an incentive fee in the future.
